There are lots of cute OTMA anecdotes in M. Eagar's book Six Years at the Russian Court. Here are some related to Olga:
"One day during Eastertide we were out driving on the Nevski Prospect, and the little Grand Duchess Olga was not good. I was speaking to her, trying to induce her to sit down quietly, when suddenly she did so, folding her hands in front of her. In a few seconds she said to me, 'Did you see that Policeman?' I told her that was nothing extraordinary, and that the police would not touch her. She replied, 'but this one was writing something; I was afraid he might have been writing 'I saw Olga, and she was very naughty.' "
"While we were in Moscow the Empress thought she would like to have the children's portraits painted, so an artist was engaged to paint them. They were at this time four years, two and a half years, and two months.[...] I begged him to remember what babies they were, and to work from photographs. But, no! even to paint their frocks he insisted upon them sitting to him for three or four hours each day. Of course the poor children got very impatient, and one day the little Grand Duchess Olga lost her temper, and said to the artist, 'You are a very ugly man, and I don't like you a bit.' "
"I was reading 'Alice in Wonderland' and 'Through the Looking Glass' to them lately, and she was horrified at the manners of the queens. 'No queens,' she said, 'would be so rude.' "
"She read about the English cutting off the Welsh Prince Llewellyn's head, and sending it to London. She was awfully shocked, and read the story again. Then she exclaimed, 'Well, it was a good thing he was dead before they cut off his head; it would have hurt him most awfully if he was alive.' I said that they were not always so kind, and sometimes cut the heads off living people, and later she would read of them doing such things. She said, 'Well, I really think people are much better now than they used to be. I'm very glad I live now when people are so kind.' "
"On Christmas morning when Olga awoke, she exclaimed at once, 'Did God send for cousin Ella's body in the night?' I felt startled at such a question on Christmas morning, but answered, 'Oh no, dear, not yet.' She was greatly disappointed, and said, 'I thought He would have sent for her to keep Christmas with Him.' "
"Shortly after I first went to Russia the little Grand Duchess Olga was very naughty. I said to her, 'I am afraid you got out of bed with the wrong foot foremost this morning.' She looked a little puzzled, but said nothing. Next morning, before getting out of bed, she called me and asked which was her right foot. I showed her, and she most carefully descended on it. 'Now,' said she, 'that bad left foot won't be able to make me naughty to-day; I got out on the right.' "
